Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.
Title:
Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.
Author:
Chan-Lau, Jorge A.
ISBN:
9781452702544
Personal Author:
Physical Description:
1 online resource (18 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V. CONCLUSIONS -- REFERENCES.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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